An Estimated DSGE Model: Explaining Variation in Nominal Term Premia, Real Term Premia, and Inflation Risk Premia

2011 ◽  
Author(s):  
Martin M. Andreasen
Keyword(s):  
Real Term ◽  
Risk Premia ◽  
Dsge Model ◽  
Inflation Risk ◽  
Inflation Risk Premia ◽  
Nominal Term ◽  
Term Premia

scholarly journals Real and Nominal Equilibrium Yield Curves

2020 ◽  
Author(s):  
Alex Hsu ◽  
Erica X. N. Li ◽  
Francisco Palomino
Keyword(s):  
Monetary Policy ◽  
Real Term ◽  
Risk Premia ◽  
Alternative Interpretation ◽  
Nominal Rigidities ◽  
Positive Real ◽  
Yield Curves ◽  
Endogenous Growth Model ◽  
Inflation Risk Premia ◽  
Term Premia

This paper quantitatively explores the role of external habits, nominal rigidities, and monetary policy for real and nominal bond yields in an asset-pricing endogenous growth model. The calibration captures the reported average positive slopes of U.S. real and nominal yield curves with sizable positive real and nominal bond risk premia. Habits are critical to generate positive real premia by altering the comovement of real rates and productivity shocks. Nominal rigidities generate monetary policy effects on real bonds. Stronger policy rule inflation responses or weaker output responses increase real term premia and reduce inflation risk premia. Relative to standard models, the paper provides an alternative interpretation of real and nominal bond risks. This paper was accepted by Tomasz Piskorski, finance.

Inflation risk premia and risk-adjusted expectations of inflation

2019 ◽  
Vol 175 ◽  
pp. 36-39
Author(s):  
Marco Casiraghi ◽  
Marcello Miccoli
Keyword(s):  
Risk Premia ◽  
Inflation Risk ◽  
Inflation Risk Premia
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